Mueller, Lukas ; Ringel, Marc ; Schiereck, Dirk (2023)
Is decarbonization priced in? Evidence on the carbon risk hypothesis from the European Green Deal leakage shock.
In: International Journal of Theoretical and Applied Finance
doi: 10.1142/S0219024923500188
Article, Bibliographie
Abstract
On November 29, 2019, 12 days before its announcement, information on the ambitions of the European Green Deal was leaked. The leakage should have triggered a Europe-wide systemic shock to financial markets without an accompanying announcement of supportive measures. Applying event study methodology to a sample of 600 European large and mid-cap stocks, we find that the overall market reaction was indeed significantly negative, albeit moderate. Abnormal returns gradually decline with increasing greenhouse gas emissions levels. Conversely, the official announcement emphasizing financial support and the green growth narrative did not ignite a positive market reaction. The results are largely robust in multivariate regressions. We conclude that market participants incorporate available emissions information into (short-term) reassessments after a significant change in environmental policy becomes known.
| Item Type: | Article |
|---|---|
| Erschienen: | 2023 |
| Creators: | Mueller, Lukas ; Ringel, Marc ; Schiereck, Dirk |
| Type of entry: | Bibliographie |
| Title: | Is decarbonization priced in? Evidence on the carbon risk hypothesis from the European Green Deal leakage shock |
| Language: | German |
| Date: | 27 November 2023 |
| Place of Publication: | Singapore |
| Publisher: | World Scientific |
| Journal or Publication Title: | International Journal of Theoretical and Applied Finance |
| DOI: | 10.1142/S0219024923500188 |
| URL / URN: | https://www.worldscientific.com/doi/epdf/10.1142/S0219024923... |
| Abstract: | On November 29, 2019, 12 days before its announcement, information on the ambitions of the European Green Deal was leaked. The leakage should have triggered a Europe-wide systemic shock to financial markets without an accompanying announcement of supportive measures. Applying event study methodology to a sample of 600 European large and mid-cap stocks, we find that the overall market reaction was indeed significantly negative, albeit moderate. Abnormal returns gradually decline with increasing greenhouse gas emissions levels. Conversely, the official announcement emphasizing financial support and the green growth narrative did not ignite a positive market reaction. The results are largely robust in multivariate regressions. We conclude that market participants incorporate available emissions information into (short-term) reassessments after a significant change in environmental policy becomes known. |
| Additional Information: | Artikel ID: 2350018 |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance |
| Date Deposited: | 30 Nov 2023 09:27 |
| Last Modified: | 30 Nov 2023 09:27 |
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